A Research on Time-varying Parameters of SV Model and the Policy Effects of Chinese Stock Market

Policy effect is a universal phenomenon that is more prevalent in China.A time varying feature of the parameters of ASARMAV(1,0) is investigated using EMM.As a result,this feature reflects the dynamics and policy effects of the Chinese stock market.It can also explain the leverage effect in the stock market.The empirical results show that the Chinese stock market is becoming more mature,the policy effects are weakened and the leverage effect is gradually more visible.The conclusion is consistent with the history and the reality of the Chinese stock market.